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Markov-Switching Mixed-Frequency VAR Models

Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2014

This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the...

Persistent link: https://www.econbiz.de/10011083823

Perturbation Methods for Markov-Switching DSGE Models

Foerster, Andrew; Rubio-Ramírez, Juan Francisco; … - C.E.P.R. Discussion Papers - 2013

This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter space so that a steady state is well defined. With this...

Persistent link: https://www.econbiz.de/10011083963

Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a … point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of … predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided. …

Persistent link: https://www.econbiz.de/10005504253

Prior Selection for Vector Autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E - C.E.P.R. Discussion Papers - 2012

-of-sample forecasting, and accuracy in the estimation of impulse response functions. …

Persistent link: https://www.econbiz.de/10011083403

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2013

This paper develops a method for producing current-quarter forecasts of GDP growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest...

Persistent link: https://www.econbiz.de/10011084707

Leading Indicators: What Have We Learned?

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005

the most relevant recent developments in this field of economic forecasting. To begin with, we analyse the problem of … leading indicator based forecasts, and review the recent literature on the forecasting performance of leading indicators. …

Persistent link: https://www.econbiz.de/10005666459

The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation

Favero, Carlo A.; Kaminska, Iryna; Söderström, Ulf - C.E.P.R. Discussion Papers - 2005

spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary … forecasting equation improves the forecasting performance of the spread for future output but the coefficients on the short rate … into an expectations-related component and a term premium allows a better understanding of the forecasting model. In fact …

Persistent link: https://www.econbiz.de/10005791499

Predicting recoveries and the importance of using enough information

Cai, Xiaoming; Den Haan, Wouter - C.E.P.R. Discussion Papers - 2009

Several papers that make forecasts about the long-term impact of the current financial crisis rely on models in which there is only one type of financial crisis. These models tend to predict that the current crisis will have long lasting negative effects on economic growth. This paper points out...

Persistent link: https://www.econbiz.de/10008477182

The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy

Wieland, Volker; Wolters, Maik H - C.E.P.R. Discussion Papers - 2010

This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...

Persistent link: https://www.econbiz.de/10008530347

Markov-switching MIDAS models

Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...

Persistent link: https://www.econbiz.de/10008854481